Warbler Guy, are there any New World warblers that occur in their own family and where shall I look?

The Olive Warbler, Peucedramus taeniatus,  is a small passerine bird. It is the only member of the genus Peucedramus and the family Peucedramidae.

Breeding from southern Arizona through New Mexico and south into Mexico and Nicaragua, the Olive Warbler is the only member of the genus Peucedramus and the family Peucedramidae. All our other New World warblers in the continental USA are in the Parulidae family (except for rare to occasional vagrant sightings of Old World Warbler sightings — among them being Arctic and Dusky Warbler).

The Olive Warbler status in its one-member family is distinctive in that it's the only bird family endemic to North America (including Central America). Before it was classified into its current family, this warbler was considered a Parulidae, but DNA studies suggest that it split early in its evolutionary history from the other related passerines prior to the differentiation of the entire New World warbler/American sparrow/Icterid group.

Where should you look for this species?

Like many other New World warblers, it is an insectivorous species of coniferous forests.
According to the iBird Pro app I used to interpret its distribution range, Olive Warbler is restricted to breeding in central/east-central Arizona and a small portion of southwestern New Mexico. It's non-breeding season range includes southern Arizona most of western Mexico and a restricted area of northeastern Mexico immediately south of Texas.

Though it is often said to be non-migratory, most New Mexican birds typically leave the state from November to late February.